Trading Strategies Performance Report with R and Knitr

performanceReport_AssetAllocation.Rnw

%#######################################################
%# KNITR Report Template - Dynamic Equity Bond Allocation
%#
%# [email protected] - Oct 2013
%#######################################################

\documentclass{article}
\title{Dynamic Equity vs. Bond Allocation \\ Performance Report}
\usepackage[top=0.1in, bottom=0.1in, left=1in, right=1in]{geometry}
\usepackage[labelformat=empty]{caption} % remove table 1 etc...
 
\begin{document}
\date{\vspace{-5ex}} % remove date & suppress the space that goes with it
\maketitle
 
<<fooa,echo=FALSE,message=FALSE,warning=FALSE,fig.align='center',fig.width=7.5,fig.height=5.5,results="asis">>= 
source("D:\\Documents\\R\\code\\performanceReportWithKnitr.R")

performanceReport(inputPath="your_path",
                  inputFile="debaUS.csv",
                  keepColumns=c("date","optimAlloc..."))

@

\end{document}

performanceReportREADME.txt

###############################################################################
# This program is free software: you can redistribute it and/or modify
# it under the terms of the GNU General Public License as published by
# the Free Software Foundation, either version 3 of the License, or
# (at your option) any later version.
#
# This program is distributed in the hope that it will be useful,
# but WITHOUT ANY WARRANTY; without even the implied warranty of
# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
# GNU General Public License for more details.
#
# Please visit: <http://www.gnu.org/licenses/>.
###############################################################################
# Copyright (C) 2013 The R Trader
#
# For more information please visit my blog at www.thertrader.com
# or you can reach me at: TheRTrader at gmail
###############################################################################

performanceReportWithKnitr.R

#######################################################
# R functions for Knitr performance report  
#
# [email protected] - Nov 2013
#######################################################

library(knitr)
library(PerformanceAnalytics)
library(xtable)
library(xts)

performanceReport  <- function(inputPath=inputPath,
                               inputFile=inputFile,
                               keepColumns=keepColumns){
  
  data <- read.csv(paste(inputPath,inputFile,sep=""),sep=",")
  keepColumns <- keepColumns
  dataDaily <- data[,keepColumns]
  colnames(dataDaily) <- c("date","rtn")
  days <- as.Date(dataDaily[,"date"],"%m/%d/%Y") ##
  years <- as.numeric(sort(unique(substring(days,1,4))))
  months <- sort(unique(substring(days,1,7)))
  dailyRtn <- as.numeric(substring(dataDaily[,"rtn"],1,nchar(as.character(dataDaily[,"rtn"]))-1)) ##
  monthlyRtn <- aggregate(dailyRtn,by=list(substring(days,1,7)),sum)[,2]
  yearlyRtn <- aggregate(dailyRtn,by=list(substring(days,1,4)),sum)[,2]
  dailyDD <- as.vector(Drawdowns(dailyRtn/100))
  maxDD <- maxDrawdown(dailyRtn/100)
  currentYear <- as.numeric(substring(Sys.Date(),1,4))
  names(yearlyRtn) <- years
  names(monthlyRtn) <- months
  
  startYtd <- match(as.character(currentYear),substring(months,1,4))
  colorVectorMonth <- ifelse(monthlyRtn[startYtd:length(monthlyRtn)] > 0, 1, 2)
  colorVectorYear <- ifelse(yearlyRtn > 0, 1, 2)
  
  myxts <- xts(monthlyRtn/100,order.by=seq(as.Date("2000-01-30"), length=length(months), by="month")-2)
  colnames(myxts) <- "YTD"
  xtablePerfMonthly <- xtable(table.CalendarReturns(myxts,geometric=FALSE),
                              caption="Monthly Percentage Return (gross of fees)",
                              digits=1)
  
  print(xtablePerfMonthly,
        caption.placement = "top",
        include.rownames = TRUE,
        latex.environment="center",
        size="\\scriptsize")
  
  par(mfrow=c(3,2),cex=0.5,mex=0.3)
  plot(days,cumsum(dailyRtn),
       type="l",
       main="Equity Curve - Since Inception (%)",
       xlab="",
       ylab="")
  grid(col="dark grey")
  
  plot(days[match(as.character(currentYear),substring(days,1,4)):length(days)],
       cumsum(dailyRtn[match(as.character(currentYear),substring(days,1,4)):length(days)]),
       type="l",
       main="Equity Curve - YTD (%)",
       xlab="",
       ylab="")
  grid(col="dark grey")
  
  plot(days,dailyDD,
       type="l",
       xlab="",
       ylab="",
       main="maximum DrawDown - Since Inception (%)")
  grid(col="dark grey")
  
  plot(days[match(as.character(currentYear),substring(days,1,4)):length(days)],
       dailyDD[match(as.character(currentYear),substring(days,1,4)):length(days)],
       type="l",
       xlab="",
       ylab="",
       main="maximum DrawDown - YTD (%)")
  grid(col="dark grey")
  
  bpYear <- barplot(yearlyRtn,
                    border = NA,
                    col=colorVectorYear,
                    ylim=range(0,ceiling(max(yearlyRtn))+5),
                    main="Yearly Return - Since Inception (%)")
  text(bpYear,
       yearlyRtn,
       labels=as.character(round(yearlyRtn,2)),
       pos=3) 
  
  bpMonth <- barplot(monthlyRtn[startYtd:length(monthlyRtn)],
                     col=colorVectorMonth,
                     border = NA,
                     ylim=range(floor(min(monthlyRtn[startYtd:length(monthlyRtn)]))-1,ceiling(max(monthlyRtn[startYtd:length(monthlyRtn)]))+1), 
                     main="Monthly Return - YTD (%)")
  text(bpMonth,
       monthlyRtn[startYtd:length(monthlyRtn)],
       labels=as.character(round(monthlyRtn[startYtd:length(monthlyRtn)],2)),
       pos=3) 
  
  nbDays <- length(days)
  nbYears <- nbDays/252
  totalReturn <- sum(dailyRtn)
  annualizedReturn <- round(totalReturn/nbYears,2)
  annualizedVolatility <- round(sd(dailyRtn)*sqrt(252),2)
  sharpeRatio <- round(annualizedReturn/annualizedVolatility,2)
  
  maxDD <- 100*round(min(dailyDD),3)
  maxDDDate <- days[match(min(dailyDD),dailyDD)]  
  recoveryTime <- min(which(dailyDD[match(min(dailyDD),dailyDD):length(dailyDD)] == 0))
  
  monthlyHitRate <- 100*round(length(which(monthlyRtn > 0))/length(monthlyRtn),2)
  monthlyRtnAverage <- round(mean(monthlyRtn),2) 
  monthlyRtnPositive <- round(mean(monthlyRtn[which(monthlyRtn > 0)]),2) 
  monthlyRtnNegative <- round(mean(monthlyRtn[which(monthlyRtn < 0)]) ,2)
  worstMonth <- round(min(monthlyRtn),2)
  bestMonth <- round(max(monthlyRtn),2)
  
  dailyHitRate <- 100*round(length(which(dailyRtn > 0))/length(which(dailyRtn != 0)),2)
  dailyRtnAverage <- round(mean(dailyRtn),2) 
  dailyRtnPositive <- round(mean(dailyRtn[which(dailyRtn > 0)]) ,2)
  dailyRtnNegative <- round(mean(dailyRtn[which(dailyRtn < 0)]),2) 
  worstDay <- round(min(dailyRtn),2)
  bestDay <- round(max(dailyRtn),2)
  
  captionColumn1 <- c("Ann.Return","Ann.Volatility","Sharpe Ratio","","","")
  valueColumn1 <- c(annualizedReturn,annualizedVolatility,round(annualizedReturn/annualizedVolatility,2),"","","")
  captionColumn2 <- c("maxDD","maxDD Date","Time to Recover","","","")
  valueColumn2 <- c(maxDD,as.character(maxDDDate),paste(recoveryTime, "days",sep=" "),"","","")
  captionColumn3 <- c("Hit Rate","Mean Return","Mean > 0","Mean < 0","Worst","Best")
  valueColumn3 <- c(monthlyHitRate,monthlyRtnAverage,monthlyRtnPositive,monthlyRtnNegative,worstMonth,bestMonth)
  captionColumn4 <- c("Hit Rate","Mean Return","Mean > 0","Mean < 0","Worst","Best")
  valueColumn4 <- c(dailyHitRate,dailyRtnAverage,dailyRtnPositive,dailyRtnNegative,worstDay,bestDay)
  
  tradingStatistics <- cbind(captionColumn1,valueColumn1,captionColumn2,valueColumn2,captionColumn3,valueColumn3,captionColumn4,valueColumn4)
  colnames(tradingStatistics) <- c("Performance","(%)","Draw Down","(%)","Monthly","(%)","Daily","(%)")
  
  xtableResult <- xtable(tradingStatistics,
                         caption="Trading Statistics",
                         digits=2)
  
  print(xtableResult,
        caption.placement = "top",
        include.rownames = FALSE,
        size="\\scriptsize")  
}